个人简介
个人简介
目前为西安电子科技大学数学与统计学院教授，概率与数理统计专业博士生导师、概率与统计和统计学硕士生导师。分别于2006年和2009年获南开大学概率论与数理统计专业理学硕士和理学博士学位。2012年入选教育部新世纪优秀人才支持计划。曾访问澳大利亚墨尔本大学数学与统计系和法国巴黎七大数学系以及概率与随机模型实验室(LPMA)开展随机分析与数理金融领域的学术交流和合作。现正在美国约翰-霍普金斯大学工学院应用数学与统计系进行为期一年的学术交流与合作，其主要的合作方向为数理金融和信用与系统风险建模。
近期论文
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Optimalinvestmentincreditderivativesportfolioundercontagionrisk(withA.Capponi),Math.Finan.forthcoming2014
Bilateralcreditvaluationadjustmentforlargecreditderivativesportfolios(withA.Capponi),Finan.&Stoch.18(2):431-482,2014
Smooth-pastingpropertyonreflectedLévyprocessesanditsapplicationsincreditriskmodeling(withX.Yang),ScienceChina:Math.DOI:10.1007/s11425-014-4802-6,1-20,2014
CreditderivativespricingbasedonLévyfielddriventermstructure(withY.JiaoandX.Yang),Stoch.Anal.&Appl.32(2):229-252,2014
Onthedefaultprobabilityinaregime-switchingregulatedmarket(withY.WangandX.Yang),Meth.Comput.Appl.Probab.16(1):101-113,2014
KernelcorrelatedLévyfielddrivenforwardrateandapplicationtoderivativepricing(withY.WangandX.Yang).Appl.Math.&Optim.68(1):21-41,2013
Stochasticportfoliooptimizationwithdefaultrisk(withY.WangandX.Yang).J.Math.Anal.Appl.397(2):467-480,2013
Optimalinvestmentandconsumptionwithdefaultrisk:HARAutility(withY.WangandX.Yang).Asia-PacificFinan.Market20(3):261-281,2013
Ontheconditionaldefaultprobabilityinaregulatedmarketwithjumprisk(withD.Li,Y.WangandX.Yang).Quant.Finan.13(12):1967-1975,2013
FirstpassagetimesofreflectedgeneralizedOrnstein-Uhlenbeckprocesses(withG.RenandY.Wang).Stoch.&Dyn.13:1250014,1-16,2013
FirstpassagetimesofreflectedO-Uprocesseswithtwo-sidedjumps.QueueingSyst.73(1):105-118,2013
LargedeviationforthenonlocalKuramoto-SivashinskySPDE(withY.Jiang).Nonlinear.Anal.82(C):100-114,2013
Lévyriskmodelwithtwo-sidedjumpsandabarrierdividendstrategy(withR.Song,D.Tang,Y.Wang,X.Yang).Insurance:Math.&Econom.50(2):280-291,2012
Optimalportfolioandconsumptionselectionwithdefaultrisk(withY.Wang,X.Yang).Front.Math.China7(6):1019-1042,2012
SequentialmaximumlikelihoodestimationforreflectedgeneralizedOrnstein-Uhlenbeckprocesses(withX.Yang).Stats.Probab.Lett.82(7):1374-1382,2012
Firstpassagetimesofconstant-elasticity-of-varianceprocesseswithtwo-sidedreflectingbarriers(withC.Hao).J.Appl.Probab.49(4):1119-1133,2012
Derivativepricingbasedontheexchangerateinatargetzonewithrealignment(withY.WangandX.Yang).Int.J.Theor.Appl.Finan.14(6):945-956,2011
Exponentialchangeofmeasureappliedtotermstructuresofinterestratesandexchangerates.Insurance:Math.&Econom.49(2):216-225,2011
Variationalsolutionsofdissipativejump-typestochasticevolutionequations(withK.ShiandY.Wang).J.Math.Anal.Appl.373:111-126,2011
Ontheconditionaldefaultprobabilityinaregulatedmarket:astructuralapproach(withD.Tang,Y.WangandX.Yang).Quant.Finan.11(12):1695-1702,2011
Firstpassagetimesof(reflected)Ornstein-Uhlenbeckprocessesoverrandomjumpboundaries(withY.WangandX.Yang).J.Appl.Probab.48(3):723-732,2011
MaximumlikelihoodestimationforreflectedOrnstein–Uhlenbeckprocesses(withY.Wang,X.YangandG.Zhang).J.Stats.PlanningandInfer.141(1):588-596,2011
Onastochasticinteractingmodelwithstepping-stonenoises(withY.Wang).Stats.Probab.Lett.81(8):1300-1305,2011
Meanfirstpassagetimesoftwo-dimensionalprocesseswithjumps(withM.Lefebvre).Stats.Probab.Lett.81(8):1183-1189,2011
SomeintegralfunctionalsofreflectedSDEsandtheirapplicationsinfinance(withY.WangandX.Yang).Quant.Finan.11(3):343-348,2011
Markov-modulatedjump–diffusionsforcurrencyoptionpricing(withY.WangandX.Yang).Insurance:Math.&Econom.46(3):461-469,2010
Anoptimalportfolioprobleminadefaultablemarket(withY.WangandX.Yang).Adv.Appl.Probab.42(3):689-705,2010
SupporttheoremforastochasticCahn-Hilliardequation(withK.ShiandY.Wang).Electron.J.Probab.15:484-525,2010
Onastochasticwaveequationdrivenbyanon-GaussianLévyprocess(withK.ShiandY.Wang).J.Theoret.Probab.23(1):328-343,2010
Largedeviationsforperturbedreflecteddiffusionprocesses(withT.Zhang).Stochastics&StochasticReport81(6):531-543,2009
Approximatingsolutionsofneutralstochasticevolutionequationswithjumps(withK.ShiandY.Wang).ScienceChina:Math.52(5):895-907,2009
OnaclassofstochasticAndersonmodelswithfractionalnoises(withY.JiangandY.Wang).Stoch.Anal.&Appl.26(2):256-273,2008
JumptypeCahn-Hilliardequationswithfractionalnoises(withK.ShiandY.Wang).Chin.Ann.Math.29B(6):663-678,2008
Lyapunovexponentestimatesofaclassofhigher-orderstochasticAndersonmodels(withD.Tang).ProceedingsofAMS136(11):4033-4043,2008
StochasticCahn-Hilliardequationwithfractionalnoise(withY.JiangandY.Wang).Stoch.&Dyn.8(4):643-665,2008
ExplosivesolutionsofstochasticwaveequationswithdampingonRd(withD.TangandY.Wang).J.Diff.Eqn.244(1):170-187,2008
OnanonlocalstochasticKuramoto-Sivashinsyequationwithjumps(withK.ShiandY.Wang).Stoch.&Dyn.7(4):439-457,2007
DiscontinuousGalerkinmethodforellipticstochasticpartialdifferentialequationsontwoandthreedimensionalspaces(withR.Yao).ScienceChina:Math.50(11):1661-1672,2007
Strongcomparisonresultforaclassofreflectedstochasticdifferentialequationswithnon-Lipschitziancoefficients(withR.Yao).Front.Math.China2(1):73-85,2007
OnthefirstpassagetimesofreflectedOUprocesseswithtwo-sidedbarriers(withY.WangandL.Zhang).QueueingSyst.54(4):313-316,2006
StochasticCahn–HilliardpartialdifferentialequationswithLévyspacetimewhitenoises(withY.Wang).Stoch.&Dyn.6(2):229-244,2006
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